Rates Model Validation (VP) - Model Risk Management Rates Model Validation (VP) - Model Risk  …

Credit Suisse
in New York, NY
Permanent, Full time
Last application, 22 Jan 21
Competitive
Credit Suisse
in New York, NY
Permanent, Full time
Last application, 22 Jan 21
Competitive
Credit Suisse
Rates Model Validation (VP) - Model Risk Management
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.

We Offer
A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
We offer the opportunity to join a diverse team, with established presence in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York. We are a team that values diversity and partnership
Responsibilities:
The Model Risk Management (MRM) team has a mandate to review and approve the models used in the bank in order to make sure that the risk due to the model limitations and assumptions is properly managed and mitigated.
Focus on the validation of the pricing and VaR models for the Rates business. The models in scope cover a wide variety of products, including Rates vanilla, exotics and hybrids.
Manage independent validation reviews performed by yourself or more junior team member covering the following:
  • Review the mathematical foundation of the model, assessing the correctness of the model equations and theory
  • Develop alternative benchmarks, design backtesting or other methodologies to test the conceptual soundness model assumptions.
  • Assess if the model is implemented correctly, via independent re-implementation of the model in spreadsheets or coding language (Python, C#, F#, C++...)
  • Test the model sensitivity to changes to the inputs and stability
  • Coordinate the other key partners within the Firm, including Front Office Quants, Trading, Market Risk, Product Control for the model validation process and for the approval of new trades; in addition, you will represent the team in the governance forums.


You Offer
  • Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work.
  • 6+ years experience in quantitative modelling for Rates, as a model validator, front office quant or similar roles.
  • Masters or PhD in a quantitative subject, e.g. Mathematics, Physics, Engineering, Finance, Economics.
  • Detailed understanding of at least one of the following topics: Statistics, Stochastic Calculus, Numerical Analysis, and/or Derivative Pricing.
  • Outstanding interpersonal and leadership skills to build positive relationships with management
  • Proven problem solving skills to explain complex topics to a diverse range of audiences.
  • Hardworking, result oriented with ability to learn quickly in a fast paced environment
  • Good programming experience (such as in R, Python, C++, C#) is a plus


Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success. Credit Suisse complies with applicable federal, state, and local laws prohibiting discrimination in employment in every jurisdiction in which it maintains facilities. Subject to applicable law and regulatory requirements, Credit Suisse complies with state and local laws regarding considering for employment qualified individuals with criminal histories.
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